Shares of iShares MSCI EAFE Index (EFA) are down .27 to 59.30.? EFA is trading near a 52-week high.
Today paper rolled the EFA April 57 puts to the Jun 57 puts for .65 on 129,773 over 131,421 contracts.? The average contract volume is over 85000 contracts per day in the name.? Open interest in the Apr contract is 191,389 which would indicate closing.
The trade looks like a roll where the customer is buying April and selling Jun since the size is growing in the second month.? The IV is up today but that is more consistent with the rise in IV overall.
30-day implied volatility is 13%.? 10-day implied volatility is 7%.? 30-day implied volatility is trading above the 10-day historical volatility.
iShares MSCI EAFE Index Fund (the Fund) is a non-diversified fund.